English

An optimal approximation of Rosenblatt sheet by multiple Wiener integrals

Probability 2015-05-14 v1

Abstract

Let Zα,βZ^{\alpha,\beta} be the Rosenblatt sheet with the representation Zα,β(t,s)=0t0s0t0sQα(t,y1,y2)Qβ(s,u1,u2)B(dy1,du1)B(dy2,du2) Z^{\alpha,\beta}(t,s)=\int^t_0\int^s_0\int^t_0\int^s_0Q^\alpha(t,y_1,y_2)Q^\beta(s,u_1,u_2)B(dy_1,du_1)B(dy_2,du_2) where BB is a Brownian sheet, 12<α,β<1\frac12<\alpha,\beta<1, QαQ^\alpha and QβQ^\beta are the given kernel. In this paper, we contruct multiple Wiener integrals of the form \begin{align*} \int^t_0\int^s_0\int^t_0\int^s_0&[k_1(y_1,y_2)^{-\frac12\alpha}(u_1,u_2)^{-\frac12\beta}+k_2(y_1\vee y_2)^{\frac12\alpha}(y_1\wedge y_2)^{-\frac12\alpha}|y_1-y_2|^{\alpha-1}\\ &\cdot(u_1\vee u_2)^{\frac12\beta}(u_1\wedge u_2)^{-\frac12\beta}|u_1-u_2|^{\beta-1}]B(dy_1,du_1)B(dy_2,du_2),~~k_1,k_2\geq0, \end{align*} and obtain an optimal approximation of Zα,β(t,s)Z^{\alpha,\beta}(t,s).

Cite

@article{arxiv.1505.03225,
  title  = {An optimal approximation of Rosenblatt sheet by multiple Wiener integrals},
  author = {Guangjun Shen and Qian Yu},
  journal= {arXiv preprint arXiv:1505.03225},
  year   = {2015}
}

Comments

18 page

R2 v1 2026-06-22T09:33:09.211Z